Broad distribution effects in sums of lognormal random variables

The lognormal distribution describing, e.g., exponentials of Gaussian random variables is one of the most common statistical distributions in physics. It can exhibit features of broad distributions that imply qualitative departure from the usual statistical scaling associated to narrow distributions. Approximate formulae are derived for the typical sums of lognormal random variables. The validity of these formulae is numerically checked and the physical consequences, e.g., for the current flowing through small tunnel junctions, are pointed out.Comment: 14 pages, 9 figures. Minor changes + Gini coefficient and 4 refs. adde

Policy Gradients for CVaR-Constrained MDPs

We study a risk-constrained version of the stochastic shortest path (SSP) problem, where the risk measure considered is Conditional Value-at-Risk (CVaR). We propose two algorithms that obtain a locally risk-optimal policy by employing four tools: stochastic approximation, mini batches, policy gradients and importance sampling. Both the algorithms incorporate a CVaR estimation procedure, along the lines of Bardou et al. [2009], which in turn is based on Rockafellar-Uryasev's representation for CVaR and utilize the likelihood ratio principle for estimating the gradient of the sum of one cost function (objective of the SSP) and the gradient of the CVaR of the sum of another cost function (in the constraint of SSP). The algorithms differ in the manner in which they approximate the CVaR estimates/necessary gradients - the first algorithm uses stochastic approximation, while the second employ mini-batches in the spirit of Monte Carlo methods. We establish asymptotic convergence of both the algorithms. Further, since estimating CVaR is related to rare-event simulation, we incorporate an importance sampling based variance reduction scheme into our proposed algorithms

Deeply subrecoil two-dimensional Raman cooling

We report the implementation of a two-dimensional Raman cooling scheme using sequential excitations along the orthogonal axes. Using square pulses, we have cooled a cloud of ultracold Cesium atoms down to an RMS velocity spread of 0.39(5) recoil velocity, corresponding to an effective temperature of 30 nK (0.15 T_rec). This technique can be useful to improve cold atom atomic clocks, and is particularly relevant for clocks in microgravity.Comment: 8 pages, 6 figures, submitted to Phys. Rev.

Phase transitions driven by L\'evy stable noise: exact solutions and stability analysis of nonlinear fractional Fokker-Planck equations

Phase transitions and effects of external noise on many body systems are one of the main topics in physics. In mean field coupled nonlinear dynamical stochastic systems driven by Brownian noise, various types of phase transitions including nonequilibrium ones may appear. A Brownian motion is a special case of L\'evy motion and the stochastic process based on the latter is an alternative choice for studying cooperative phenomena in various fields. Recently, fractional Fokker-Planck equations associated with L\'evy noise have attracted much attention and behaviors of systems with double-well potential subjected to L\'evy noise have been studied intensively. However, most of such studies have resorted to numerical computation. We construct an {\it analytically solvable model} to study the occurrence of phase transitions driven by L\'evy stable noise.Comment: submitted to EP

Levy distribution in many-particle quantum systems

Levy distribution, previously used to describe complex behavior of classical systems, is shown to characterize that of quantum many-body systems. Using two complimentary approaches, the canonical and grand-canonical formalisms, we discovered that the momentum profile of a Tonks-Girardeau gas, -- a one-dimensional gas of $N$ impenetrable (hard-core) bosons, harmonically confined on a lattice at finite temperatures, obeys Levy distribution. Finally, we extend our analysis to different confinement setups and demonstrate that the tunable Levy distribution properly reproduces momentum profiles in experimentally accessible regions. Our finding allows for calibration of complex many-body quantum states by using a unique scaling exponent.Comment: 7 pages, 6 figures, results are generalized, new examples are adde

Exact and explicit probability densities for one-sided Levy stable distributions

We study functions g_{\alpha}(x) which are one-sided, heavy-tailed Levy stable probability distributions of index \alpha, 0< \alpha <1, of fundamental importance in random systems, for anomalous diffusion and fractional kinetics. We furnish exact and explicit expression for g_{\alpha}(x), 0 \leq x < \infty, satisfying \int_{0}^{\infty} exp(-p x) g_{\alpha}(x) dx = exp(-p^{\alpha}), p>0, for all \alpha = l/k < 1, with k and l positive integers. We reproduce all the known results given by k\leq 4 and present many new exact solutions for k > 4, all expressed in terms of known functions. This will allow a 'fine-tuning' of \alpha in order to adapt g_{\alpha}(x) to a given experimental situation.Comment: 4 pages, 3 figures and 1 tabl

Steady-State L\'evy Flights in a Confined Domain

We derive the generalized Fokker-Planck equation associated with a Langevin equation driven by arbitrary additive white noise. We apply our result to study the distribution of symmetric and asymmetric L\'{e}vy flights in an infinitely deep potential well. The fractional Fokker-Planck equation for L\'{e}vy flights is derived and solved analytically in the steady state. It is shown that L\'{e}vy flights are distributed according to the beta distribution, whose probability density becomes singular at the boundaries of the well. The origin of the preferred concentration of flying objects near the boundaries in nonequilibrium systems is clarified.Comment: 10 pages, 1 figur

Cirrhosis Diagnosis and Liver Fibrosis Staging: Transient Elastometry Versus Cirrhosis Blood Test.

INTRODUCTION: Elastometry is more accurate than blood tests for cirrhosis diagnosis. However, blood tests were developed for significant fibrosis, with the exception of CirrhoMeter developed for cirrhosis. We compared the performance of Fibroscan and CirrhoMeter, and classic binary cirrhosis diagnosis versus new fibrosis staging for cirrhosis diagnosis. METHODS: The diagnostic population included 679 patients with hepatitis C and liver biopsy (Metavir staging and morphometry), Fibroscan, and CirrhoMeter. The prognostic population included 1110 patients with chronic liver disease and both tests. RESULTS: Binary diagnosis: AUROCs for cirrhosis were: Fibroscan: 0.905; CirrhoMeter: 0.857; and P=0.041. Accuracy (Youden cutoff) was: Fibroscan: 85.4%; CirrhoMeter: 79.2%; and P&lt;0.001. Fibrosis classification provided 6 classes (F0/1, F1/2, F2±1, F3±1, F3/4, and F4). Accuracy was: Fibroscan: 88.2%; CirrhoMeter: 88.8%; and P=0.77. A simplified fibrosis classification comprised 3 categories: discrete (F1±1), moderate (F2±1), and severe (F3/4) fibrosis. Using this simplified classification, CirrhoMeter predicted survival better than Fibroscan (respectively, χ=37.9 and 19.7 by log-rank test), but both predicted it well (P&lt;0.001 by log-rank test). Comparison: binary diagnosis versus fibrosis classification, respectively, overall accuracy: CirrhoMeter: 79.2% versus 88.8% (P&lt;0.001); Fibroscan: 85.4% versus 88.2% (P=0.127); positive predictive value for cirrhosis by Fibroscan: Youden cutoff (11.1 kPa): 49.1% versus cutoffs of F3/4 (17.6 kPa): 67.6% and F4 classes (25.7 kPa): 82.4%. CONCLUSIONS: Fibroscan\u27s usual binary cutoffs for cirrhosis diagnosis are not sufficiently accurate. Fibrosis classification should be preferred over binary diagnosis. A cirrhosis-specific blood test markedly attenuates the accuracy deficit for cirrhosis diagnosis of usual blood tests versus transient elastometry, and may offer better prognostication

Optimal quantization for the pricing of swing options

In this paper, we investigate a numerical algorithm for the pricing of swing options, relying on the so-called optimal quantization method. The numerical procedure is described in details and numerous simulations are provided to assert its efficiency. In particular, we carry out a comparison with the Longstaff-Schwartz algorithm.Comment: 27

Three-dimensional Simulations of Disk Accretion to an Inclined Dipole: I. Magnetospheric Flow at Different Theta

We present results of fully three-dimensional MHD simulations of disk accretion to a rotating magnetized star with its dipole moment inclined at an angle Theta to the rotation axis of the disk. We observed that matter accretes from the disk to a star in two or several streams depending on Theta. Streams may precess around the star at small Theta. The inner regions of the disk are warped. The warping is due to the tendency of matter to co-rotate with inclined magnetosphere. The accreting matter brings positive angular momentum to the (slowly rotating) star tending to spin it up. The corresponding torque N_z depends only weakly on Theta. The angular momentum flux to the star is transported predominantly by the magnetic field; the matter component contributes < 1 % of the total flux. Results of simulations are important for understanding the nature of classical T Tauri stars, cataclysmic variables, and X-ray pulsars.Comment: 26 pages, 22 figures, LaTeX, macros: emulapj.sty, avi simulations are available at http://www.astro.cornell.edu/us-rus/inclined.ht